Trend-Following Backtester · Guide · backtest 한국어
equity · HK
COSCO SHIPPING Ports Limited backtest
10 trend-following strategies were compared on the full daily history of COSCO SHIPPING Ports Limited. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 1.5%, MDD -60.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.6%, drawdown -87.2%).
Sharpe leader (same as main): Supertrend — CAGR 1.5%, MDD -60.1%, Sharpe 0.19, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 1.5%, MDD -60.1%, exposure 58%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=4.8 |
1.5% | -60.1% | 0.19 | 0.02 | 1.5x | 75 | 58% |
| SMA 크로스오버 fast=40, slow=96 |
-0.4% | -73.3% | 0.12 | -0.01 | 0.9x | 73 | 53% |
| EMA 크로스오버 fast=29, slow=61 |
-1.2% | -76.7% | 0.08 | -0.02 | 0.7x | 89 | 51% |
| ROC 모멘텀 n=40, threshold=-0.07 |
-3.1% | -86.6% | 0.05 | -0.04 | 0.4x | 337 | 72% |
| Donchian 채널 돌파 entryN=16, exitN=63 |
-3.7% | -92.2% | 0.05 | -0.04 | 0.4x | 95 | 78% |
| MACD fast=39, slow=59, signal=25 |
-2.7% | -85.5% | 0.04 | -0.03 | 0.5x | 177 | 53% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.5% | -88.1% | 0.00 | -0.04 | 0.4x | 315 | 52% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.8% | -46.3% | -0.05 | -0.02 | 0.8x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=3.7 |
-1.8% | -65.6% | -0.05 | -0.03 | 0.6x | 52 | 13% |
| ADX / DI 방향성 period=39, threshold=18 |
-1.7% | -65.2% | -0.07 | -0.03 | 0.6x | 50 | 11% |
| Buy and hold | -0.6% | -87.2% | 0.19 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)